Benchmark or product
Secured Overnight Financing Rate (SOFR)SOFR
Broad volume-weighted median measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities on an ACT/360 basis.
Updated
Coverage of Secured Overnight Financing Rate (SOFR)
2 articles
Fixed Income Duration & Portfolio Risk
Compounded SOFR In-Arrears, NY Fed SOFR Index & Repo Carry Trade Calculator Guide
Exact ACT/360 mathematical specification for New York Fed Compounded SOFR in-arrears, SOFR Index ratio pricing, 5-day lookback observation shifts, and leveraged U.S. Treasury repo carry trade breakeven calculations.
Quantitative Pricing & Options Engines
CME SPAN 2 VaR Margin, Basel FRTB Expected Shortfall & Fractional Kelly Sizing Engine
Institutional risk specification comparing CME SPAN 2 Historical/Stress VaR margin decomposition, Basel III FRTB 97.5% Expected Shortfall, and autocorrelation-adjusted Sharpe, Sortino, and Half-Kelly position sizing in a 4.39% SOFR regime.
Other entities
Basel III FRTB 97.5% Expected Shortfall (ES) Tail MetricFRTB-ES-975INTLBasel III FRTB 97.5% Expected Shortfall (ES) Tail Metric — 2026 StandardFRTB-ES-975-STDINTLBlack-Scholes-Merton Newton-Raphson Implied Volatility SolverBSM-IMPLIED-VOLUSBlack-Scholes-Merton Newton-Raphson Implied Volatility Solver — 2026 StandardBSM-IMPLIED-VOL-STDUSCholesky Multi-Asset Correlated Monte Carlo Path SimulatorMONTE-CARLO-CHOLESKYUSCholesky Multi-Asset Correlated Monte Carlo Path Simulator — 2026 StandardMONTE-CARLO-CHOLESKY-STDUS